Published March 12, 2019
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Re-inforcement Learning for Pricing & Hedging of Derivatives - A Simplified Showcase
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This work is inspired by [1]. We provide a technical documentation of how one can exploit reinforcement learning in order to price & hedge financial derivatives in the presence of transaction cost. The concepts are illustrated exemplarily for a European call option in the one-step case.
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IFZ Working Paper Series 0008 2019.pdf
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